Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0142
Annualized Std Dev 0.1861
Annualized Sharpe (Rf=0%) -0.0764

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1614
Quartile 1 -0.0046
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0050
Maximum 0.1551
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0117
Skewness -0.7220
Kurtosis 22.0052

Downside Risk

Close
Semi Deviation 0.0087
Gain Deviation 0.0084
Loss Deviation 0.0103
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.6353
Historical VaR (95%) -0.0168
Historical ES (95%) -0.0291
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0164
From Trough To Depth Length To Trough Recovery
2012-08-09 2020-03-18 NA -0.6353 2167 1913 NA
2004-02-18 2008-11-21 2010-10-14 -0.5448 1678 1202 476
1999-04-30 2001-04-09 2004-02-06 -0.4548 1200 491 709
2011-07-25 2011-10-04 2012-07-23 -0.1938 252 51 201
2010-11-11 2010-12-14 2011-04-21 -0.0799 112 23 89

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.1 0 1 -0.9 -1.9 0 0 -1 -2 0 0 0 -5.8
2000 -1.2 -1.2 1.4 1.5 1.5 2.8 -2.7 0 -0.2 1.3 0.3 2.3 5.6
2001 1.7 -0.2 -0.8 0.3 -0.5 0.7 -0.5 -0.5 1.8 0.7 -0.2 -0.5 1.9
2002 0 0.5 0 0.2 1 0.8 1.1 0.9 -2.9 -0.2 -0.9 -0.9 -0.4
2003 0.4 1.2 -0.2 0.4 0.2 1.3 -1.5 -0.4 0.2 0.3 -1 -0.2 0.7
2004 2 -0.9 -0.3 1.7 -1.7 0.2 1.4 -0.7 -0.2 0.5 0 0.2 2.1
2005 0.3 -0.2 1.8 0.6 0.7 -0.6 0.2 -0.2 0 -0.2 -0.7 -1 0.7
2006 0.3 1 -0.8 0.7 0.3 1.5 0.5 0 -0.2 0.5 -0.8 -0.3 2.7
2007 0 -0.3 -0.3 -0.5 0.2 0.5 -1.8 1.2 0.8 -0.2 0.8 -0.3 0.1
2008 0.2 -0.3 -0.3 -0.2 -0.9 0.3 0.8 0.2 0.6 -2.1 -3.2 -1.1 -6
2009 -1.5 0 0.6 1 -1.8 0 -0.2 -1.6 -0.3 -3.7 0.8 -0.2 -6.7
2010 -0.5 -0.6 0.3 -0.1 -2.8 1.7 0.3 1.1 0.3 0.7 0.6 0.7 1.6
2011 0.9 -0.6 0.6 1 -1.4 -0.3 1.3 -0.9 2.8 -0.6 -0.6 -0.5 1.7
2012 0.9 0.9 -0.4 0.1 0.1 -0.1 0.1 0.3 0.8 0.3 0.1 0 3.2
2013 0.4 -0.3 -1.5 -0.4 -3.3 1.3 0.3 0.3 1.2 -0.7 0.3 -0.5 -2.9
2014 0 0.8 0.2 0 0 0.6 -0.3 -0.3 0.8 -0.5 -0.9 2.6 3
2015 -0.2 0.7 0.9 -0.7 -0.2 0.2 0.4 -0.2 0 -0.8 1.6 0 1.7
2016 1.3 0.4 -0.2 0 0.4 0.8 -0.2 -0.9 -0.4 -0.2 -0.4 -0.9 -0.2
2017 0.4 -1.2 0.6 -0.4 0 -0.8 0.4 0.4 0.2 0.8 -0.2 0.6 0.8
2018 0.8 -0.8 0.4 0 -0.2 -0.7 0.7 0 0.7 0.8 0.8 -1 1.4
2019 0.5 0 0.5 -0.5 -0.5 0.2 0.5 -0.2 0.4 0.5 0 0.1 1.4
2020 -0.9 0 -1.5 0.8 1.6 0.3 1.5 0.5 0.3 -0.5 0 0.9 2.9
2021 3.4 0.7 1 NA NA NA NA NA NA NA NA NA 5.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  5.69 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  5.69 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  5.81 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  5.88 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  5.75 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  5.81 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart